Published: Sept. 5, 2017, 6:50 p.m.
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Volatility Review: A look back at the week from a volatility perspective.
The numbers:
- VIX Cash - 10.59, VVIX - 94.86
- CBOE Skew Index - 130.5
Russell\'s Weekly Rundown:
- VIX Options: ADV - 785k, VIX Call/Put - 3.3
- Total 12.0m (9.24m Calls, 2.76m Puts)
- OIV - 28.29
- OVX - 28.37
Volatility Voicemail: Options Question of the week:
Let\'s get cheap! If you had to buy "lottery ticket" December calls for $.05 in one name - which would you choose? #HomeRun
Listener Questions and Comments:
- Question from JC - What am i missing? If VXX erodes why does anyone buy it?
- Question from Simyan - So I should just short VXX into the dust? Is that the deal?
- Question from Nils - So if the max length between splits is 3 years, and the minimum split price is $10 - aren\\u2019t the Jan 2019 20 puts for $2 a screaming deal?
- Question from TimTim - Do any other Vol products exhibit this erosion?
Crystal Ball: Wild prognostication
Last week:
- Mark L. - 11.75
- Mark S. - 11.00
- Russell - 10.80
This week:
- Mark L. - 10.15
- Mark S. - 10.65
- Russell - 11.00
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